scientific article; zbMATH DE number 4204078

zbMATH Open0728.90021MaRDI QIDQ3352804FDOQ3352804

Authors: Geert Gielens, Casper G. de Vries 

Publication date: 1990

Title of this publication is not available (Why is that?)

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zbMATH Keywords

residualsstochastic processesstochastic difference equationsforeign exchange ratesunit root processesextremal theoryunconditional distribution function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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• Price as a choice under nonstochastic randomness in finance
• Speculative trading in mean reverting markets
• Financial returns modelled by the product of two stochastic processes -- a study of daily sugar prices, 1961--79
• Prices are macro-observables! stylized facts from evolutionary finance
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• A subordinated stochastic process model with finite variance for speculative prices
• Speculation and destabilisation

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